Bridgeway Funds N-CSRCertified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act file number            811-08200            

                                 Bridgeway Funds, Inc.                                

(Exact name of registrant as specified in charter)

20 Greenway Plaza, Suite 450

                                              Houston, Texas 77046                                             

(Address of principal executive offices) (Zip code)

Tammira Philippe, President

Bridgeway Funds, Inc.

20 Greenway Plaza, Suite 450

                                              Houston, Texas 77046                                             

(Name and address of agent for service)

Registrant’s telephone number, including area code: (713) 661-3500

Date of fiscal year end: June 30

Date of reporting period: June 30, 2021

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

Item 1. Reports to Stockholders.

(a)  Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).

The Report to Shareholders is attached herewith.

(b)  Not applicable

A no-load mutual fund family                

June 30, 2021

Bridgeway Funds Standardized Returns as of June 30, 2021* (Unaudited)

Bridgeway Funds Returns for Calendar Years 2006 through 2020* (Unaudited)

Performance figures quoted represent past performance and are no guarantee of future results. Current performance may be lower or higher than the performance data quoted. Investment return and principal value will fluctuate, so that an investor’s shares, when redeemed, may be worth more or less than original cost. To obtain performance current to the most recent month-end, please visit bridgewayfunds.com or call 800-661-3550. Total return figures include the reinvestment of dividends and capital gains. Periods of less than one year are not annualized.

* Numbers highlighted indicate periods when the Fund outperformed its primary benchmark.

This report is submitted for the general information of the shareholders of each Fund. It is not authorized for distribution to prospective investors unless preceded or accompanied by an effective prospectus, which includes information regarding a Fund’s risks, objectives, fees and expenses, experience of its management, and other information. Investors should read the prospectus carefully before investing in a Fund. For questions or other Fund information, call 800-661-3550 or visit the Funds’ website at bridgewayfunds.com. Funds are available for purchase by residents of the United States, Puerto Rico, US Virgin Islands, and Guam only.

The views expressed here are exclusively those of Fund management. These views, including those relating to the market, sectors, or individual stocks, are not meant as investment advice and should not be considered predictive in nature.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM

June 30, 2021 (Unaudited)

Dear Fellow Shareholders,

Performance across domestic equity markets was positive for the June quarter, helping stocks finish the fiscal year with strong gains. Stocks in all size and style categories recorded positive returns for the year, but small stocks and value stocks outperformed larger names and growth stocks. As a result, small-cap value stocks delivered the best results during the fiscal year. Market highlights appear on page 2. In this environment, the Bridgeway Funds performed within design expectations, guided by our statistically driven, evidence-based investment approach. Please see the enclosed letters for a detailed explanation of each Fund’s performance during the quarter and the fiscal year. We hope you find the letters helpful.

Even as the broad equity markets rallied during the past 12-months, a handful of investments attracted investor and media attention for their extreme moves. So-called “meme stocks” swung wildly from massive gains one day to steep drops the next, driven by nothing more than speculation. But we believe that periods like this, when the market seems to have gone temporarily crazy, only reinforce the importance of having a disciplined, evidence-based investment approach. Read our explanation in, “A Systematic Approach to Extreme Stock Moves,” on page 2.

Bridgeway also believes that diverse, inclusive teams and organizations make better decisions and achieve better outcomes–and we’ve worked intentionally to pursue a diversity, equity, and inclusion (DEI) strategy that’s helped us create one of the more diverse organizations in the financial services industry. To learn more about this commitment and our intentional approach, read “DEI: Mission Possible,” on page 3.

As in every annual report, we also set aside space to review some of the challenges we’ve faced in the past year. Bridgeway Funds just had one of its best fiscal years of investment performance ever. This year’s “worst thing” is closely tied to that outstanding performance. How? From our perspective, too few investors actually got those returns. You can read more about this phenomenon in “The Worst Thing of the Fiscal Year,” on page 5.

Finally, Bridgeway’s President and CEO, Tammira Phillipe, offers another view into Bridgeway’s approach to relational investing, which bridges the gap between investment results and returns for humanity. Learn the five core principles that we believe are essential to relational investing in, “Relational Investing in Action,” on page 6.

As always, we appreciate your feedback. We take your comments very seriously and regularly discuss them to help us manage our Funds and this company. Please keep your ideas coming—both favorable and critical. They provide us with a vital tool to serve you better.

Sincerely,

Your Investment Management Team

John Montgomery		Christine L. Wang		Michael Whipple
Elena Khoziaeva		Dick Cancelmo

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

June 30, 2021 (Unaudited)

Market Review

Domestic equity markets posted positive returns in the quarter ended June 30, 2021, with investors encouraged by signs of an economic recovery as the COVID-19 pandemic receded. The markets experienced brief sell-offs over concerns about rising inflation and news that US Federal Reserve might raise interest rates earlier than anticipated (late 2022 versus 2023). But stocks weathered this volatility to end the quarter with solid gains. The S&P 500 returned +8.6% for the quarter and the Dow Jones Industrial Average returned +5.1%. For the fiscal year, the S&P 500 and the DJIA returned +40.8% and +36.3%, respectively.

All US equity style categories, as defined by Russell Indices, recorded positive returns for the quarter. However, larger stocks outperformed smaller stocks across style categories. Growth stocks outperformed value stocks in the large and mid-sized categories, but value stocks outperformed growth stocks in the small-cap space. As a result, large-cap growth stocks had the best performance during the quarter, returning +11.9%, while small-cap growth stocks lagged on a relative basis, returning +3.9%.

All sectors of the S&P 500 had positive returns for the quarter except for the Utilities sector, which returned -0.4%. The Real Estate sector led the gains, returning +13.1%, followed by Information Technology (+11.6%) and Energy (+11.3%).

Below are the stock market style box returns for the quarter and the fiscal year.

A Systematic Approach to Extreme Stock Moves

By Andrew Berkin, PhD, Head of Research, John Montgomery, CIO and Founder and Christine Wang, CFA, CPA, Portfolio Manager

Unless you have been living in your bed, bath, and not much further beyond, you may have noticed some unusual stock activity recently. Whether it’s single stocks that jump in multi-fold like a game that won’t stop or just sitting back watching the movie plot unfold, it seems like everyone wants to express an opinion one way or the other.

We’ve been getting many questions about how this activity has impacted our portfolios and wanted to summarize our viewpoint as a statistical, evidence-based manager.

Statistical, evidence-based investing may sound intimidating, but at the most basic level, it’s defining quantitative rules and then systematically applying those rules in your investing process. At Bridgeway, we believe that factors shape returns. Factors are nothing more than themes or characteristics of groups of securities, such as stocks. We have followed a systematic process for the past 28 years. That doesn’t mean crazy stuff can’t happen in the short term, but we believe that fundamental characteristics explain stock returns over the long term. Thus, the reason why we would enter a position is not going to be based on speculation, but due to a factor or theme that we believe in, such as value, company financial health, momentum, and size.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

June 30, 2021 (Unaudited)

We also believe in diversification in many aspects. That means we diversify not only our factor exposures, models, and holdings but our team. One of the main reasons for diversification is risk management. A well-diversified portfolio limits the potential downside exposure to any specific name. This would also apply to the upside as well. If a stock has a large move up, we will consider trimming it for risk considerations to continue to meet the portfolio’s desired exposures.

While we get most asked about how stocks enter our portfolio, determining how names exit is just as important. Every position established at Bridgeway adheres to a set of disciplined sell rules. Does that mean that we just set it and forget it? Of course not. We are continually monitoring positions and movements. There’s the chance that earlier action will be taken due to risk considerations, tax consequences, or other portfolio changes, such as if the reason why we bought the stock no longer holds. These considerations are quantified and set ahead of time; decisions are not made on the fly when emotions and other behavioral biases may be at play.

This rules-based flexibility highlights a benefit of systematic investing versus pure indexing. If you are tied directly to an index, by and large, that flexibility no longer exists. To track an index, you must buy and sell precisely when the index dictates, even if that means buying at the high and selling at the low.

Does this mean we will get it exactly right every single time? It might be surprising to say – but probably not. Especially with speculative cases, it may be tough to nearly impossible to hit the top. But the discipline of our investment process allows us to have a set process in place, realizing gains along the way without putting the portfolio at extreme risk. We humbly know that there’s always more to learn and believe in the process of seeking continuous improvement. We stay curious, in line with our principles of relational investing.

I know we all love stories, and often that extends to story stocks. But a disciplined, systematic process will allow you to invest well, sleep well, and leave the entertainment in the theatres.

DEI: Mission Possible

By Tammira Philippe, CFA, President and CEO

White male founder. Quantitative asset management firm. Female CEO. 67% of all professionals, 60% of portfolio managers, and 60% of senior leadership identify as a woman or person of color, or both. 100% of staff believe the firm provides sufficient resources to foster the success of a diverse team.

Are these statistics probable? No. Possible? Absolutely! I know this kind of diversity is achievable because this is real data from Bridgeway Capital Management, the asset management firm that I lead as CEO. Of course, even a quant like me will say with certainty that there’s a whole lot more that numbers can’t tell you about diversity, equity, and inclusion (DEI) at Bridgeway or any organization.

As more companies recognize the benefits and tackle the challenges of making progress on DEI, we get asked a lot of questions on this topic. Our favorites by far are: How did you do it? How can I do it? How can others do it? Our answer is: Be Intentional*. We accept the challenge of this simple and complex solution because it’s part of discovering the power in the paradox, a principle in our approach to relational investing.

So, what do we mean when we say “Be Intentional”? Our outcomes did not happen overnight; they are the result of continuous work and learning over more than two decades. Since 1993, Bridgeway has been intentional on our journey towards DEI, starting with clear commitments in our mission and vision statement and carrying through to our actions every day. As one example, both the Head of US Equity and I are women who started in the industry at Bridgeway and were mentored and developed internally over more than a decade to become leaders of the firm.

Bridgeway is still a work in progress on DEI, and we will never stop learning. By sharing some of our story, I hope to spark more action on this vital topic that is crucial to prosperity** in the decades ahead for every individual and organization. It’s time to reclaim prosperity for all.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

June 30, 2021 (Unaudited)

As the leader of an investment manager who invests in public equity around the globe, I want to see progress on DEI at Bridgeway and all the public companies globally that we hold in our portfolios.

I firmly believe, based on the evidence, that diverse and inclusive teams and organizations make better decisions and achieve better outcomes. I want to see companies strive, as we do at Bridgeway, for both cognitive and identity diversity***. Cognitive diversity is about bringing together different ways of thinking, while identity diversity is about bringing together different demographics of people, and they are, of course, often related. Cognitive diversity without identity diversity falls short of achieving true diversity, equity, and inclusion. Cognitive and identity diversity must also permeate an organization at all levels – from interns through the C-suite to the board room, and especially on the research and portfolio management team in investment management.

Being intentional on DEI starts at the top: “Want progress on diversity? Link it to your CEO’s pay,” said Phil Wahba in an April 2021 Fortune article. According to the same Fortune article, only 97 of the companies in the Russell 3000 have at least one diversity goal for at least one top executive; that leaves gigantic room for improvement. The Fortune article also cites the 320 to 1 CEO-to-worker pay ratio as a cause for scrutiny and concern. In contrast, Bridgeway has a stewardship commitment that sets a cap on the highest compensation after considering pay ratios and other financial outcomes. This helps us focus on stewardship which we define as having the passion and discipline to care for an asset for the benefit of others. I wholeheartedly support moves to address the CEO pay gap that has grown dramatically over the last three decades. It is hard to have equity and inclusion with a 300x pay gap - a diverse workforce notices that and cares.

My experience and the research I’ve seen also tells me that links to pay will be only part of the equation to make the massive progress needed on DEI. While explicit diversity metrics tied to pay may be necessary to accelerate DEI efforts in many businesses today, we must also realize that pay is already tied to business goals that depend on DEI for success. This is the mindset that we have successfully fostered at Bridgeway and how we have recruited and retained a diverse team with a strong culture and sense of belonging over decades. I hope to see a future when more people cultivate DEI in more places and capture the innovation, profitability, and other benefits that a diverse, motivated, and collaborative workforce can bring.

Going way beyond pay, in the Lean In/McKinsey 2020 Women in the Workplace Study, 25% of women are contemplating downshifting their careers or leaving the workforce due to the challenges of the last year which have disproportionately impacted women, the Black community, and other under-represented groups in our organizations. This could unwind years of progress toward gender and other dimensions of diversity. Not one of the considerations for leaving is related to pay (or the CEO’s pay, for that matter). Flexibility is a key aspect of establishing equity in a DEI program in our experience at Bridgeway, and both men and women benefit from it. Solutions that we have implemented successfully include flexible schedules, part-time roles, and a results-focused work environment.

You have to get pay right, but it is not enough. A clear sense of purpose is essential for companies and individuals to create a vibrant culture and workplace with diversity, equity, and inclusion.

This is highlighted in the work of Daniel Pink in DRiVE where his research and experience shows that mastery, autonomy, and purpose are what really motivates us. In addition, a 2020 McKinsey survey revealed that only 18% of respondents get as much purpose from work as they want, and this is even more prevalent among women and people of color based on my experience.

At Bridgeway, our vision is “A world without genocide. Partnering to create an extraordinary future for our clients, community, and world.” Our purpose comes from the nobility of being entrusted to steward assets for the future well-being of our clients and from donating 50% of our earnings to generate returns for humanity. We ask every person who joins Bridgeway to commit to servant leadership, to put our clients’ interests ahead of our own, and to help make a positive impact in the world with our united commitment to Bridgeway Foundation and by supporting community organizations in other personal areas of interest.

When 67% of your firm identifies as a woman or person of color, you get asked a lot about how you did it. Be Intentional is our simple and complex answer. What keeps me up at night is how we are going to keep doing it and where we are falling short. We are still learning and growing on our own journey for DEI and will never stop. Staying curious and striving for

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

June 30, 2021 (Unaudited)

continuous improvement is in the fabric of our firm. Being intentional about pay and purpose is at the heart of what we have been able to accomplish so far, and we expect that to continue.

Join us on Mission Possible for diversity, equity, and inclusion and see the success that awaits.

*Be Intentional is one of five principles that we practice at Bridgeway as leaders in relational investing, an approach that unites results for investors and returns for humanity. We believe everyone can implement all five principles. For more, see Relational Investing in Action.

**Prosperity is more than financial success. Prosperity is the success we achieve when we follow principles and strive for our highest aspirations for ourselves and others. See An Open Letter on Relational Investing for more.

***The Diversity Bonus and other work by Scott Page is a great resource on cognitive and identity diversity.

The Worst Thing of the Fiscal Year

Bridgeway Funds just had one of its best fiscal years of investment performance ever. Three of our funds recorded triple-digit returns, while the others had double-digit returns.

While we’re happy about that performance, it is also a Bridgeway tradition to discuss the “worst thing of the year” as part of our commitment to transparency with our shareholders. After all, you are the owners and the “boss,” and you have a right to know about the negatives and the positives.

This year’s “worst thing” is closely tied to that outstanding performance. How? From our perspective, too few investors actually got those returns.

The resurgence of small-cap and value stocks that drove much of our Funds’ results during the past fiscal year came after a long period of relative underperformance compared to large growth stocks. And we know that many investors gave up on smaller and value stocks before they had a chance to participate in this rebound.

Also, many of our current fellow investors missed some of the positive impact of the past year.

More upsetting is the fact that we wrote about this phenomenon a decade ago in our 2011 annual report when the equity markets had strongly rebounded after the financial crisis of 2008. We said then, and we’ll repeat: It’s difficult to express how bad it feels to know that some of our previous investors missed the upturn. In our servant leadership approach at Bridgeway, we always ask, “how am I contributing to the problem that I don’t want?”

Clearly, we feel significant responsibility for not doing a better job of communicating, educating, and partnering with shareholders to invest and stay the course during times of underperformance or major market downturns. Predictably, we’ve seen strong new investment flows into our Funds after reporting these strong returns. We view it as a privilege to steward these assets. Our conviction in our team and our process is stronger than ever. We hope we can do a better job to ensure that our investors hold steady in the years to come. We often say that equity investors must think in decades, not days. And we’ve cautioned investors against the dangers of selling during downturns and jumping back into markets or funds during “hot” periods. But, we must do more to help investors to stay the course.

To our fellow investors who have stayed with us for years and the new ones who have placed their trust in us, we appreciate your commitment to long-term investing. As a firm, we are still falling short of our aspirations to help close the “behavior gap” between investment returns and investor returns. We have to do better explaining our strategies and convincing investors to think in decades, not days. We also must continue our ongoing investments in research to find ways to make the equity market rollercoaster ride an easier one whenever possible—without sacrificing long-term results.

In the article below, Relational Investing in Action, Bridgeway’s President and CEO, Tammira Philippe, explains Bridgeway’s leadership in relational investing, an approach that unites results for investors and returns for humanity. We have identified five principles for success for investors who commit to relational investing. Two of the five principles apply directly to how we can

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

June 30, 2021 (Unaudited)

address this issue in the coming decades.The principles of Discover the Power in the Paradox and Stay Curious translate to investing according to plan even when it feels the hardest during a downturn and rebalancing with discipline. At the same time, Staying Curious requires adapting the plan to life changes and circumstances as needed but not falling prey to the whims of the market.

Relational Investing in Action

By Tammira Philippe, CFA, President and CEO

In June 2020, in our Open Letter on Relational Investing, I shared how Bridgeway is a leader in this modern approach to investing. Our approach to relational investing is statistical and evidence-based motivated by a passion for servant leadership and global impact, which we accomplish by donating 50% of our firm’s earnings to organizations making a positive impact for humanity.

Relational investing is a different approach to investing that bridges the gap between results for investors and returns for humanity. To help everyone who wants to adopt a relational investing approach, we have identified five principles for success:

1. Be intentional

2. State where you stand

3. Invest in your outcome

4. Discover the power in the paradox

5. Stay curious

So, how do individuals, financial advisors, and institutional clients put relational investing into action? We believe investors can turn these five principles of relational investing into action by enhancing the four-step planning process that they typically already follow.

The best investors that we know follow this four-step plan for investing:

2. Write the plan down

3. Implement the plan

4. Rebalance to the plan approximately annually (or as lifestyle changes occur)

Practicing relational investing with this four-step plan is simple but not easy. Be intentional by structuring a plan that matches your intentions (e.g., goals, investment horizon, risk tolerance, liquidity needs). Get help when needed from a professional to clarify intentions and take the next step to state where you stand. Write the plan down. Third, invest in your outcome by implementing the plan, and discover power in the paradox yourself or by using investment managers that practice relational investing, an approach that bridges the gap between results for investors and returns for humanity. Finally, stay curious– rebalance to your plan and revisit your intentions at least annually and as lifestyle or other changes occur. This four-step plan aligned with the principles of relational investing works for individuals and institutional investors and is shown in the image below.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)
June 30, 2021 (Unaudited)

At Bridgeway, we have put these principles of relational investing into action with how we run our organization and an investment philosophy that drives our portfolios to produce results for investors and returns for humanity. Here is some of what we have learned about each principle:

Be intentional – The best investors put this into practice by developing financial goals and understanding their willingness and ability to take risk before making any investment decisions. At Bridgeway, we do this in our investment portfolios through a disciplined research process that drives every investment decision and a mission statement that guides every business decision.

State where you stand – Relational investors state where you stand by having a clear plan and writing it down. As leaders in relational investing, we have found that to state where you stand requires candor and kindness. Stating where we stand allows us to attract clients who we can truly help and colleagues who can thrive and serve at their highest potential in our organization. We state where we stand in our mission statement and by investing according to a statistical, evidence-based process rather than the opinions or whims of the day of an individual. We also state where we stand with a commitment to donate 50% of our company’s profits since inception to organizations making a positive impact for humanity.

Invest in your outcome – For institutions and individuals, investing in your outcome requires avoiding behavioral pitfalls and staying the course. In relational investing, investing in your outcome includes investment results and returns for humanity. Returns for humanity can take many forms and each relational investor decides what those will be. We have learned that the discipline of relational investing often frees time to invest in your outcome in other aspects of life too – like relationships with family, friends, and community organizations. At Bridgeway, we invest in your outcome by always putting client interests ahead of our own and focusing on stewardship, which we define as having the passion and the discipline to care for an asset for the benefit of others. For us, investing in your outcome is also about knowing why investment returns matter for clients and keeping a broader perspective on the world.

Discover power in the paradox – Relational investors see power in the paradox that spending less time acting on investments often leads to better outcomes not just in portfolios but also in the world. This is where relational investing differs the most from other types of investing. By focusing on results for investors and returns for humanity, outcomes are multiplied.

LETTER FROM THE INVESTMENT MANAGEMENT TEAM (continued)

June 30, 2021 (Unaudited)

Stay curious – Staying curious is about measuring progress against goals and being open to new ideas. At Bridgeway, we stay curious about the principles that drive our investment portfolios, about client needs, about how to learn and grow with our colleagues, and about how we can make more positive impact in the world.

We see the world differently at Bridgeway and believe that principles are the foundation of prosperity. Prosperity is more than financial success; it also includes a wealth of relationships. Relational investing is grounded in strong relationships – in the data and with clients, colleagues, and community. It is an approach that any investor can adopt by following key principles. As leaders in relational investing at Bridgeway, we bridge the gap between investment results and returns for humanity by taking an innovative approach to asset management. Join us.

Aggressive Investors 1 Fund
MANAGER’S COMMENTARY (Unaudited)

June 30, 2021

Dear Fellow Aggressive Investors 1 Fund Shareholder,

For the quarter ended June 30, 2021, our Fund returned +7.04%, underperforming our primary market benchmark, the S&P 500 Index (+8.55%), and our peer benchmark, the Lipper Capital Appreciation Funds Index (+9.27%), but outperforming the Russell 2000 Index (+4.29%). It was a good quarter on an absolute basis but a poor quarter on a relative basis.

For the fiscal year, our Fund returned +47.48%, outperforming our primary market benchmark, the S&P 500 Index (+40.79%), our peer benchmark, the Lipper Capital Appreciation Funds Index (+45.94%), but underperforming the Russell 2000 Index (+62.03%).

The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results. See the next page for a graph of performance since inception.

Standardized Returns as of June 30, 2021

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The S&P 500 Index is a broad-based, unmanaged measurement of changes in stock market conditions, based on the average of 500 widely held common stocks with dividends reinvested. The Russell 2000 Index is an unmanaged, market value-weighted index that measures the performance of the 2,000 companies between the 1,000th and 3,000th largest in the market with dividends reinvested. The Lipper Capital Appreciation Funds Index reflects the record of the 30 largest funds in the category of more aggressive domestic growth mutual funds, as reported by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

Growth of a $10,000 Investment

from Inception August 5, 1994 to June 30, 2021

Detailed Explanation of Quarterly Performance

The Fund’s value metrics and company financial health models lagged the benchmark, detracting from relative results. However, the Fund’s price momentum model outperformed the benchmark, partially offsetting these negative impacts. The Fund’s major design features detracted from relative performance during the quarter. An overweighting in the benchmark’s smaller stocks and a tilt toward deeper value stocks hurt relative results during a quarter in which larger, growth-oriented stocks performed well. The Fund investments in higher beta and higher volatility stocks also detracted from relative returns.

From a sector perspective, the Fund’s allocation effect was slightly positive. Underweightings in the Utilities and Industrials sectors contributed the most to relative results. The Fund’s stock selection effect was negative, primarily driven by holdings in the Financials, Consumer Discretionary, and Communication Services sectors.

Detailed Explanation of Fiscal Year Performance

The Fund’s value metrics and price momentum models strongly outperformed the benchmark during the fiscal year and boosted relative performance. However, the Fund’s company financial health models modestly detracted from relative returns during the 12-month period. All of the Fund’s major design features improved relative results, as smaller stocks, deeper value names, and higher volatility stocks were all in favor during much of the period.

From a sector perspective, the Fund’s allocation effect was positive, with an overweighting in the Financials sector and underweighting in the Utilities, Consumer Staples, and Industrials sectors contributing most to relative results. The Fund’s stock selection effect was also positive, primarily driven by holdings in the Information Technology, Consumer Discretionary, and Health Care sectors.

Aggressive Investors 1 Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

Top Ten Holdings as of June 30, 2021

Industry Sector Representation as of June 30, 2021

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter end, June 30, 2021, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

Market volatility can significantly affect short-term performance. The Fund is not an appropriate investment for short-term investors. Investments in the small companies within this multi-cap fund generally carry greater risk than is customarily associated with larger companies. This additional risk is attributable to a number of factors, including the relatively limited financial resources that are typically available to small companies and the fact that small companies often have comparatively limited product lines. In addition, the stock of small companies tends to be more volatile than the stock of large companies, particularly in the short term and particularly in the early stages of an economic or market downturn. The Fund’s use of options, futures, and leverage can magnify the risk of loss in an unfavorable market, and the Fund’s use of short-sale positions can, in theory, expose shareholders to unlimited loss. Finally, the Fund exposes shareholders to “focus risk,” which

may add to Fund volatility through the possibility that a single company could significantly affect total return. Shareholders of the Fund, therefore, are taking on more risk than they would if they invested in the stock market as a whole.

Conclusion

Thank you for your continued investment in Aggressive Investors 1 Fund. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2021

Aggressive Investors 1 Fund
SCHEDULE OF INVESTMENTS (continued)
Showing percentage of net assets as of June 30, 2021

Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited)

June 30, 2021

Dear Fellow Ultra-Small Company Fund Shareholder,

For the quarter ended June 30, 2021, our Fund returned +14.10%, outperforming our primary market benchmark, the CRSP Cap-Based Portfolio 10 Index (+3.92%). The Fund also outperformed our peer benchmark, the Lipper Micro-Cap Stock Funds Index (+5.75%), as well as the Russell 2000 Index (+4.29%) and the Russell Microcap Index (+4.14%). It was a good quarter.

For the fiscal year, our Fund returned +110.56%, outperforming the CRSP Cap-Based Portfolio 10 Index (+91.29%), the Lipper Micro-Cap Stock Funds Index (+79.73%), the Russell 2000 Index (+62.03%), and the Russell Microcap Index (+75.77%).

The table below presents our June quarter, one-year, five-year, 10-year, 15-year, and inception-to-date financial results.

Standardized Returns as of June 30, 2021

Performance figures quoted in the table above represent past performance and are no guarantee of future results. Total return figures in the table above include the reinvestment of dividends and capital gains. The table above does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption of Fund shares.

The CRSP Cap-Based Portfolio 10 Index is an unmanaged index of 500 of the smallest publicly traded US stocks (with dividends reinvested), as reported by the Center for Research on Security Prices. The Russell Microcap Index is an unmanaged, market value-weighted index that measures the performance of 1,000 of the smallest securities in the Russell 2000 Index. The Russell 2000 Index is an unmanaged, market value-weighted index that measures the performance of the 2,000 companies between the 1,000th and 3,000th largest in the market (with dividends reinvested). The Lipper Micro-Cap Stock Funds Index is an index of micro-cap funds compiled by Lipper, Inc. It is not possible to invest directly in an index. Periods longer than one year are annualized.

Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

Growth of a $10,000 Investment

from Inception August 5, 1994 to June 30, 2021

Detailed Explanation of Quarterly Performance

All three of the Fund’s model categories strongly outperformed the benchmark and boosted relative returns. The Fund’s tilt toward deeper value stocks across multiple valuation metrics also improved relative performance.

During the quarter, the Fund held approximately 38% of its assets, on average, in stocks outside of CRSP 10, including stocks that had appreciated into larger CRSP deciles. The Fund’s non-CRSP 10 holdings generally outperformed the benchmark, further contributing to relative returns.

From a sector perspective, the Fund’s allocation effect was positive, due largely to an underweighting in the Health Care sector and overweighting in the Consumer Discretionary and Information Technology sectors. The Fund’s stock selection effect was also significantly positive, with holdings in the Health Care, Energy, and Financials sectors contributing the most to relative results.

Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

The table below presents index performance numbers for stocks in the different CRSP deciles during various time periods.

Detailed Explanation of Fiscal Year Performance

The Fund’s value metrics and company financial health models beat the benchmark and contributed to relative performance. However, the Fund’s price momentum model underperformed the benchmark, detracting slightly from relative returns. The Fund’s tilt toward deeper value stocks across multiple valuation metrics boosted relative returns.

The Fund held approximately 31% of its assets, on average, in stocks outside of CRSP 10, including stocks that had appreciated into larger CRSP deciles. The Fund’s non-CRSP 10 holdings generally underperformed the CRSP benchmark, detracting from relative results.

From a sector perspective, the Fund’s allocation effect was positive. Overweightings in the Consumer Discretionary and Industrials sectors and underweighting in the Energy and Health Care sectors contributed the most to relative results. The Fund’s stock selection effect was also significantly positive, largely driven by strong performance from holdings in the Energy and Health Care sectors.

Top Ten Holdings as of June 30, 2021

Ultra-Small Company Fund
MANAGER’S COMMENTARY (Unaudited) (continued)

Industry Sector Representation as of June 30, 2021

Disclaimer

The views expressed here are exclusively those of Fund management. These views, including those related to market sectors or individual stocks, are not meant as investment advice and should not be considered predictive in nature. Any favorable (or unfavorable) description of a holding applies only as of the quarter-end, June 30, 2021, unless otherwise stated. Security positions can and do change thereafter. Discussions of historical performance do not guarantee and may not be indicative of future performance.

The Fund is subject to very high, above-market risk (volatility) and is not an appropriate investment for short-term investors. Investments in ultra-small companies generally carry greater risk than is customarily associated with larger companies and even “small companies” for various reasons, such as narrower markets (fewer investors), limited financial resources and greater trading difficulty.

Conclusion

Ultra-Small Company Fund remains closed to new investors. We encourage your feedback; your reactions and concerns are important to us.

Sincerely,

The Investment Management Team

Ultra-Small Company Fund
SCHEDULE OF INVESTMENTS
Showing percentage of net assets as of June 30, 2021